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1、Investments, 8th editionBodie, Kane and MarcusSlides by Susan HineSlides by Susan HineMcGraw-Hill/IrwinCopyright 2009 by The McGraw-Hill Companies, Inc. All rights reserved.CHAPTER 11The Efficient The Efficient Market Market HypothesisHypothesis11-2Do security prices reflect information ?Why look at
2、 market efficiency?Implications for business and corporate financeImplications for investmentEfficient Market Hypothesis (EMH)11-3Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies11-4Figure 11.2 Stock Price Reaction to CNBC Reports11-5Stock prices fully and accuratel
3、y reflect publicly available informationOnce information becomes available, market participants analyze itCompetition assures prices reflect informationEMH and Competition11-6WeakSemi-strongStrongVersions of the EMH11-7Technical Analysis - using prices and volume information to predict future prices
4、Weak form efficiency & technical analysisFundamental Analysis - using economic and accounting information to predict stock pricesSemi strong form efficiency & fundamental analysisTypes of Stock Analysis11-8Active ManagementSecurity analysisTimingPassive ManagementBuy and HoldIndex FundsActive or Pas
5、sive Management11-9Even if the market is efficient a role exists for portfolio management:Appropriate risk levelTax considerationsOther considerationsMarket Efficiency & Portfolio Management11-10Empirical financial research that enables an observer to assess the impact of a particular event on a fir
6、ms stock priceAbnormal return due to the event is estimated as the difference between the stocks actual return and a proxy for the stocks return in the absence of the eventEvent Studies11-11Returns are adjusted to determine if they are abnormalMarket Model approacha. rt = at + brmt + et(Expected Ret
7、urn)b. Excess Return = (Actual - Expected)et = rt - (a + brMt)How Tests Are Structured11-12Magnitude IssueSelection Bias IssueLucky Event IssueAre Markets Efficient11-13Weak-Form TestsReturns over the Short HorizonMomentumReturns over Long Horizons11-14Predictors of Broad Market ReturnsFama and Fren
8、chAggregate returns are higher with higher dividend ratiosCampbell and ShillerEarnings yield can predict market returnsKeim and StambaughBond spreads can predict market returns11-15P/E EffectSmall Firm Effect (January Effect)Neglected Firm Effect and Liquidity EffectsBook-to-Market RatiosPost-Earnin
9、gs Announcement Price DriftSemistrong Tests: Anomalies11-16Figure 11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 200611-17Figure 11.4 Average Return as a Function of Book-To-Market Ratio, 1926200611-18Figure 11.5 Cumulative Abnormal Returns in Response to Earnings Announcements11-19St
10、rong-Form Tests: Inside InformationThe ability of insiders to trade profitability in their own stock has been documented in studies by Jaffe, Seyhun, Givoly, and PalmonSEC requires all insiders to register their trading activity11-20Interpreting the EvidenceRisk Premiums or market inefficienciesdisa
11、greement hereFama and French argue that these effects can be explained as manifestations of risk stocks with higher betasLakonishok, Shleifer, and Vishney argue that these effects are evidence of inefficient markets11-21Figure 11.6 Returns to Style Portfolio as a Predictor of GDP Growth 11-22Interpr
12、eting the Evidence ContinuedAnomalies or Data MiningThe noisy market hypothesisFundamental indexing11-23Stock Market AnalystsDo Analysts Add ValueMixed evidenceAmbiguity in results11-24Some evidence of persistent positive and negative performancePotential measurement error for benchmark returnsStyle
13、 changesMay be risk premiumsHot hands phenomenon Mutual Fund Performance11-25Figure 11.7 Estimates of Individual Mutual Fund Alphas, 1972 - 199111-26Table 11.1 Performance of Mutual Funds Based on Three-Index Model 11-27Figure 11.8 Persistence of Mutual Fund Performance11-28Table 11.2 Two-Way Table of Managers Classified by Risk-Adjusted Returns over Successive Intervals
